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Handbook of market risk / / Christian Szylar, Marshall Wace LLP
| Handbook of market risk / / Christian Szylar, Marshall Wace LLP |
| Autore | Szylar Christian |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken New Jersey : , : John Wiley & Sons, Inc., , [2013] |
| Descrizione fisica | 1 online resource (428 p.) |
| Disciplina | 332.64/5 |
| Collana | Wiley Handbooks in Financial Engineering and Econometrics |
| Soggetto topico |
Capital market
Financial risk management Risk management |
| ISBN |
1-118-57298-X
1-118-57297-1 1-118-57306-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title page; Copyright page; Dedication; Contents; Foreword; Acknowledgments; About the Author; Introduction; Chapter One: Introduction to Financial Markets; 1.1 The Money Market; 1.2 The Capital Market; 1.2.1 The Bond Market; 1.2.2 The Stock Market; 1.3 The Futures and Options Market; 1.4 The Foreign Exchange Market; 1.5 The Commodity Market; Further Reading; Chapter Two: The Efficient Markets Theory; 2.1 Assumptions behind a Perfectly Competitive Market; 2.2 The Efficient Market Hypothesis; 2.2.1 Strong EMH; 2.2.2 Semi-Strong EMH; 2.2.3 Weak-Form EMH
2.3 Critics of Efficient Markets Theory 2.4 Development of Behavioral Finance; 2.5 Beating the Market: Fundamental versus Technical; 2.5.1 Fundamental Methods; 2.5.2 Technical Analysis; Further Reading; Chapter Three: Return and Volatility Estimates; 3.1 Standard Deviation; 3.2 Standard Deviation with a Moving Observation Window; 3.3 Exponentially Weighted Moving Average (EWMA); 3.4 Double (Holt) Exponential Smoothing Model (DES); 3.5 Principal Component Analysis (PCA) Models; 3.6 The VIX; 3.7 Geometric Brownian Motion Process; 3.8 GARCH; 3.9 Estimator Using the Highest and Lowest 3.9.1 Parkinson Estimator 3.9.2 Rogers Satchell Estimator; 3.9.3 Garman-Klass Estimator; Further Reading; Chapter Four: Diversification, Portfolios of Risky Assets, and the Efficient Frontier; 4.1 Variance and Covariance; 4.2 Two-Asset Portfolio: Expected Return and Risk; 4.3 Correlation Coefficient; 4.3.1 Correlation Coefficient and Its Impact on Portfolio Risk; 4.3.2 The Number of Assets in a Portfolio and Its Impact on Portfolio Risk; 4.3.3 The Effect of Diversification on Risk; 4.4 The Efficient Frontier; 4.5 Correlation Regime Shifts and Correlation Estimates; 4.5.1 Increased Correlation 4.5.2 Severity of Correlation Changes 4.6 Correlation Estimates; 4.6.1 Copulas; 4.6.2 Moving Average; 4.6.3 Correlation Estimators in Matrix Notation; 4.6.4 Bollerslev's Constant Conditional Correlation Model; 4.6.5 Engle's Dynamic Conditional Correlation Model; 4.6.6 Estimating the Parameters of the DCC Model; 4.6.7 Implementing the DCC Model; Further Reading; Chapter Five: The Capital Asset Pricing Model and the Arbitrage Pricing Theory; 5.1 Implications of the CAPM Assumptions; 5.1.1 The Same Linear Efficient Frontier for All Investors; 5.1.2 Everyone Holds the Market Portfolio 5.2 The Separation Theorem 5.3 Relationships Defined by the CAPM; 5.3.1 The Capital Market Line; 5.3.2 The Security Market Line; 5.4 Interpretation of Beta; 5.5 Determining the Level of Diversification of a Portfolio; 5.6 Investment Implications of the CAPM; 5.7 Introduction to the Arbitrage Pricing Theory (APT); Further Reading; Chapter Six: Market Risk and Fundamental Multifactors Model; 6.1 Why a Multifactors Model?; 6.2 The Returns Model; 6.2.1 The Least-Squares Regression Solution; 6.2.2 Statistical Approaches; 6.2.3 Hybrid Solutions; 6.3 Estimation Universe; 6.4 Model Factors 6.4.1 Market Factor or Intercept |
| Record Nr. | UNINA-9910138995603321 |
Szylar Christian
|
||
| Hoboken New Jersey : , : John Wiley & Sons, Inc., , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Handbook of market risk / / Christian Szylar, Marshall Wace LLP
| Handbook of market risk / / Christian Szylar, Marshall Wace LLP |
| Autore | Szylar Christian |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken New Jersey : , : John Wiley & Sons, Inc., , [2013] |
| Descrizione fisica | 1 online resource (428 p.) |
| Disciplina | 332.64/5 |
| Collana | Wiley Handbooks in Financial Engineering and Econometrics |
| Soggetto topico |
Capital market
Financial risk management Risk management |
| ISBN |
1-118-57298-X
1-118-57297-1 1-118-57306-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title page; Copyright page; Dedication; Contents; Foreword; Acknowledgments; About the Author; Introduction; Chapter One: Introduction to Financial Markets; 1.1 The Money Market; 1.2 The Capital Market; 1.2.1 The Bond Market; 1.2.2 The Stock Market; 1.3 The Futures and Options Market; 1.4 The Foreign Exchange Market; 1.5 The Commodity Market; Further Reading; Chapter Two: The Efficient Markets Theory; 2.1 Assumptions behind a Perfectly Competitive Market; 2.2 The Efficient Market Hypothesis; 2.2.1 Strong EMH; 2.2.2 Semi-Strong EMH; 2.2.3 Weak-Form EMH
2.3 Critics of Efficient Markets Theory 2.4 Development of Behavioral Finance; 2.5 Beating the Market: Fundamental versus Technical; 2.5.1 Fundamental Methods; 2.5.2 Technical Analysis; Further Reading; Chapter Three: Return and Volatility Estimates; 3.1 Standard Deviation; 3.2 Standard Deviation with a Moving Observation Window; 3.3 Exponentially Weighted Moving Average (EWMA); 3.4 Double (Holt) Exponential Smoothing Model (DES); 3.5 Principal Component Analysis (PCA) Models; 3.6 The VIX; 3.7 Geometric Brownian Motion Process; 3.8 GARCH; 3.9 Estimator Using the Highest and Lowest 3.9.1 Parkinson Estimator 3.9.2 Rogers Satchell Estimator; 3.9.3 Garman-Klass Estimator; Further Reading; Chapter Four: Diversification, Portfolios of Risky Assets, and the Efficient Frontier; 4.1 Variance and Covariance; 4.2 Two-Asset Portfolio: Expected Return and Risk; 4.3 Correlation Coefficient; 4.3.1 Correlation Coefficient and Its Impact on Portfolio Risk; 4.3.2 The Number of Assets in a Portfolio and Its Impact on Portfolio Risk; 4.3.3 The Effect of Diversification on Risk; 4.4 The Efficient Frontier; 4.5 Correlation Regime Shifts and Correlation Estimates; 4.5.1 Increased Correlation 4.5.2 Severity of Correlation Changes 4.6 Correlation Estimates; 4.6.1 Copulas; 4.6.2 Moving Average; 4.6.3 Correlation Estimators in Matrix Notation; 4.6.4 Bollerslev's Constant Conditional Correlation Model; 4.6.5 Engle's Dynamic Conditional Correlation Model; 4.6.6 Estimating the Parameters of the DCC Model; 4.6.7 Implementing the DCC Model; Further Reading; Chapter Five: The Capital Asset Pricing Model and the Arbitrage Pricing Theory; 5.1 Implications of the CAPM Assumptions; 5.1.1 The Same Linear Efficient Frontier for All Investors; 5.1.2 Everyone Holds the Market Portfolio 5.2 The Separation Theorem 5.3 Relationships Defined by the CAPM; 5.3.1 The Capital Market Line; 5.3.2 The Security Market Line; 5.4 Interpretation of Beta; 5.5 Determining the Level of Diversification of a Portfolio; 5.6 Investment Implications of the CAPM; 5.7 Introduction to the Arbitrage Pricing Theory (APT); Further Reading; Chapter Six: Market Risk and Fundamental Multifactors Model; 6.1 Why a Multifactors Model?; 6.2 The Returns Model; 6.2.1 The Least-Squares Regression Solution; 6.2.2 Statistical Approaches; 6.2.3 Hybrid Solutions; 6.3 Estimation Universe; 6.4 Model Factors 6.4.1 Market Factor or Intercept |
| Record Nr. | UNINA-9910808838303321 |
|
Szylar Christian
|
||
| Hoboken New Jersey : , : John Wiley & Sons, Inc., , [2013] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk management under UCITS III/IV [[electronic resource] ] : new challenges for the fund industry / / Christian Szylar
| Risk management under UCITS III/IV [[electronic resource] ] : new challenges for the fund industry / / Christian Szylar |
| Autore | Szylar Christian |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.6
332.64/5 |
| Collana | ISTE |
| Soggetto topico |
Swaps (Finance)
Derivative securities Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-55770-0
1-299-31556-9 1-118-62178-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | From UCITS I to UCITS III -- Use of financial derivatives and global exposure -- Taxonomy of risks -- Risk management organization and risk management process -- Universe of financial instruments, associated risks and measurements -- Appendix. |
| Record Nr. | UNINA-9910139243303321 |
|
Szylar Christian
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk management under UCITS III/IV [[electronic resource] ] : new challenges for the fund industry / / Christian Szylar
| Risk management under UCITS III/IV [[electronic resource] ] : new challenges for the fund industry / / Christian Szylar |
| Autore | Szylar Christian |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina |
332.6
332.64/5 |
| Collana | ISTE |
| Soggetto topico |
Swaps (Finance)
Derivative securities Risk management |
| ISBN |
1-118-55770-0
1-299-31556-9 1-118-62178-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | From UCITS I to UCITS III -- Use of financial derivatives and global exposure -- Taxonomy of risks -- Risk management organization and risk management process -- Universe of financial instruments, associated risks and measurements -- Appendix. |
| Record Nr. | UNINA-9910830297203321 |
|
Szylar Christian
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Risk management under UCITS III/IV : new challenges for the fund industry / / Christian Szylar
| Risk management under UCITS III/IV : new challenges for the fund industry / / Christian Szylar |
| Autore | Szylar Christian |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley, c2010 |
| Descrizione fisica | 1 online resource (290 p.) |
| Disciplina | 332.64/5 |
| Collana | ISTE |
| Soggetto topico |
Swaps (Finance)
Derivative securities Risk management |
| ISBN |
1-118-55770-0
1-299-31556-9 1-118-62178-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | From UCITS I to UCITS III -- Use of financial derivatives and global exposure -- Taxonomy of risks -- Risk management organization and risk management process -- Universe of financial instruments, associated risks and measurements -- Appendix. |
| Record Nr. | UNINA-9910876870303321 |
|
Szylar Christian
|
||
| Hoboken, N.J., : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||